Consider a European call option on a non-dividend paying stock. The current price of the stock underlying the option is $45. The strike price of the option is $41. The risk-free rate is 7% per year. The volatility is 25% per year. The option expires in 9 months.

B) Calculate d₁ and d₂. Be sure to use the excel function to calculate the natural log, square root, and exponential terms. Calculate N(d₁) and N(d₂) using the excel function =NORM.DIST(d, 0, 1, 1). Calculate the price of the call option according to the Black-Scholes-Merton formula.

d1 =

N(d1) =

d2 =

N(d2) =

Call price c =